An iterative algorithm for the Cramer-von Mises distance estimator
by Jinhyo Kim and Sangyeol Lee
This article concerns the numerical computing of the Cramer-von Mises
distance estimator, which is known to have the desirable statistical properties
such as the robustness and efficiency. Here, it is shown that the usual
optimization algorithms, such as the Newton-Raphson method and the Bisection
method, fail to find the estimator. As an alternative, a derivative-free grid-type
algorithm, the Dichotomous Search method, is considered. The simulation results
show that the Dichotomous Search method tends to find the estimator correctly.
Cramer-von Mises distance, Minimum distance estimator, Unimodal,
Derivative-free, Dichotomous Search, Convergence rate
John P. Hinde
READING THE ARTICLE: You can read the article in
portable document (.pdf) format (226222 bytes.)
NOTE: The content of this article is the intellectual property of the authors, who retains all rights to future publication.
This page has been accessed 2755 times since July 24, 2006.
Return to the Home Page.